The Econometrics of Event Studies

51 Pages Posted: 25 Oct 2004  

S.P. Kothari

Massachusetts Institute of Technology (MIT) - Sloan School of Management

Jerold B. Warner

University of Rochester – Simon Business School

Date Written: October 20, 2004

Abstract

The number of published event studies exceeds 500, and the literature continues to grow. We provide an overview of event study methods. Short-horizon methods are quite reliable. While long-horizon methods have improved, serious limitations remain. A challenge is to continue to refine long-horizon methods. We present new evidence that properties of event study methods can vary by calendar time period and can depend on event sample firm characteristics such as volatility. This reinforces the importance of examining event study statistical properties for non-randomly selected samples.

Keywords: Event studies, econometrics, surveys, accounting, corporate finance, market efficiency

JEL Classification: B23, C10, M41, G14

Suggested Citation

Kothari, S.P. and Warner, Jerold B., The Econometrics of Event Studies (October 20, 2004). Available at SSRN: https://ssrn.com/abstract=608601 or http://dx.doi.org/10.2139/ssrn.608601

S.P. Kothari (Contact Author)

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

E52-325
Cambridge, MA 02142
United States
617-253-0994 (Phone)
617-253-0603 (Fax)

Jerold B. Warner

University of Rochester – Simon Business School ( email )

Carol Simon Hall 3-160H
Rochester, NY 14627
United States
585-275-2678 (Phone)
585-442-6323 (Fax)

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